Hi Paul,
A shire is an administrative area of Great Britain and Australia. The first shires were created by the Anglo-Saxons in what is now central and southern England. Shires were controlled by a royal official known as a "shire reeve" or sheriff. Historically shires were sub-divided into hundreds or wapentakes although other less common sub-divisions existed. In modern English usage shires are sub-divided into districts.
http://en.wikipedia.org/wiki/ShireDoesn't really answer your question, but an interesting article

For background knowledge, this article is also interesting:
http://en.wikipedia.org/wiki/Traditional_counties_of_the_British_Isleswith itself has more links to interesting related subjects.
The full name of (all / most ?) counties is with -shire tacked on. It is common to leave off the -shire, especially for those counties which don't have a city or town with the same name.
Devon and Dorset don't, so you are safe there (to leave the -shire off

), but York is also a city in the county of York, and Gloucester is also a city in the county of Gloucester, so it makes sense here to be explicit and say Yorkshire or Gloucestershire for the county.
Whether there is a rule ... ??
Don't know, anybody else know ??
Bob